"We believe the current Board acted with care and diligence when evaluating Microsoft's offers. We believe the Board is independent and focused on value creation for long-term shareholders," Bill Miller, chairman and chief investment officer of Legg Mason said in a release. But the investment house did say that it supports continuing efforts to negotiate.

"We would prefer that the company and Mr. Icahn reach a mutual agreement on the composition of the Board and end this disruptive proxy contest," the statement says.

"While boards are there to protect shareholder interests, shareholders own the company. If Microsoft wants to acquire Yahoo, it can make the terms and conditions of its offer public. If Yahoo shareholders support it, I am confident the Board of Yahoo will accept it," Miller said in the statement.